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"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar

Brandtner, Mario - In: Journal of financial services research : JFSR 49 (2016) 1, pp. 121-131

Persistent link: https://www.econbiz.de/10011591964

Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity

Brandtner, Mario - In: Journal of banking & finance 89 (2018), pp. 138-149

Persistent link: https://www.econbiz.de/10011963089

Spektrale Risikomaße : Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke

Brandtner, Mario - In: Management review quarterly : systematic literature … 66 (2016) 2, pp. 75-115

Persistent link: https://www.econbiz.de/10011618142

Risikomessung mit kohärenten, spektralen und konvexen Risikomaßen : Konzeption, entscheidungstheoretische Implikationen und finanzwirtschaftliche Anwendungen

Brandtner, Mario - 2012

Persistent link: https://www.econbiz.de/10009511798

Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion

Brandtner, Mario; Kürsten, Wolfgang - 2014

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on the one hand, and Ross (1981) on the other hand. The implications for two standard financial decision problems, namely the willingness to pay for insurance and portfolio...

Persistent link: https://www.econbiz.de/10010397014